A comparison of the power of some tests for conditional heteroscedasticity. (English) Zbl 0916.90049
Summary: This paper compares the power in small samples of different tests for conditional heteroscedasticity. Two new tests, based on artificial neural networks, are proposed: the main interest in them arises from the fact that they do not require the exact specification of the conditional variance under the alternative.
MSC:
| 91B82 | Statistical methods; economic indices and measures |
References:
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